Friday, June 5, 2015

3 Day Low Studies Show Promise.....06.05.15

Here's a few more examples of the 3 day low system I mentioned yesterday.  One attractive feature of the algorithm is that it just examines a single stock or ETF so you're either in or out.... no relative strength to muddy the waters. Of course, if the market decides to go down 4, 5 or 10 days in a row then this model is going to falter badly like almost any Martingale system.  I'm working on that.
The VIX model is a bit over the top and please note that the limit stop is 3.6%...not .6% as applied to SPY, IWM, XLE and IBM.
Keep in mind VIX can only be traded as options....this is NOT an ETN or ETF.
Ideally I'd come up with a select long /short diversified portfolio and let the algorithm sort through and find potential new Longs.  I'm working on that too.
These are the signals as of Friday's close for Monday........................